Global and National Macroeconometric Modelling

A Long-Run Structural Approach

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

Introduces the long-run structural approach to macroeconometric modelling in the context of global and national economies

Provides a step-by-step description of the development and use of a model of the UK economy

Written from a real world perspective to ensure the techniques illustrated can be replicated or applied in new contexts

Global and National Macroeconometric Modelling

A Long-Run Structural Approach

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

Description

This book provides a comprehensive description of the state-of-the-art in modelling global and national economies. It introduces the long-run structural approach to modelling that can be readily adopted for use in understanding how economies work, and in generating forecasts for decision- and policy-makers. The book contains a thorough description of recent developments in macroeconomics and econometrics, which should be of interest to advanced students and researchers, but is also written to be accessible and helpful to practitioners in government and the private sector. The long-run structural approach is illustrated with various global and national examples, including a step-by-step description of the development and use of a model of the UK economy. Throughout,
the book emphasises the use of macroeconometric modelling in the real world and is written in a way that ensures the techniques illustrated can be replicated or applied in new contexts. The transparency and pragmatism of the modelling approach used within this book will be attractive to practitioners who need manageable and interpretable models to answer specific questions.

Global and National Macroeconometric Modelling

A Long-Run Structural Approach

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

Table of Contents

1. Introduction2. Macroeconometric Modelling: Alternative Approaches3. National and Global Structural Macroeconometric Modelling4. An Economic Theory of the Long Run5. An Economic Theory of the Short Run6. Econometric Methods: A Review7. Probability Forecasting: Concepts and Analysis8. The UK Macroeconomy9. A Long-Run Structural Model of the UK10. Impulse Response and Trend/ Cycle Properties of the UK Model11. Probability Event Forecasting with the UK Model12. Global Modelling and Other Applications13. Concluding RemarksAppendix A: Derivation of the Interest Rate RuleAppendix B: Invariance Properties of the Impulse Responses with respect to Monetary Policy ShocksAppendix C: Data for
the UK ModelAppendix D: Gauss Programs and Result Files

Global and National Macroeconometric Modelling

A Long-Run Structural Approach

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

Author Information

Anthony Garratt previously worked at the London Business School (1989-1994), the Bank of England (1994-1996), and Trinity College and the Department of Applied Economics at the University of Cambridge (1996-2002). Prior to moving to Birkbeck he was Senior Lecturer at the University of Leicester.

Kevin Lee studied economics and statistics at the Universities of Sheffield and Bristol and received his PhD from the London School of Economics. Prior joining the University of Nottingham, he was a Fellow of Queens' College, and a Senior Research Officer of the Department of Applied Economics at the University of Cambridge. He was Head of the Department of Economics at Leicester (1999-2002) and Dean of the University's Graduate School. He is also an Honorary
Research Associate at the University of Cambridge and Associate Editor of Applied Economics.

M. Hashem Pesaran has been head of the Economic Research Department at the Central Bank of Iran, the Under-Secretary of the Ministry of Education, Iran, Professor of Economics at UCLA, and a Vice President at the Tudor Investment Corporation. Dr. Pesaran is founding editor of the Journal of Applied Econometrics and is Honorary President of Cambridge Econometrics. He has held visiting positions at Harvard University, UCLA, University of Pennsylvania, and the University of Southern California. He is author of several books and edited collections, and is a co-developer of the econometric software package Microfit, published by OUP.

Yongcheol Shin previously held positions at
the University of Edinburgh and at the University of Cambridge. He has over 20 journal publications in the areas of econometrics, empirical finance, and macroeconomics